publication . External research report . Preprint . 2014

East Asian Financial Cycles : Asian vs. Global Financial Crises

Akira Kohsaka; Jun-ichi Shinkai;
English
  • Published: 01 Nov 2014 Journal: OSIPP Discussion Paper, volume DP-2014-E-008, pages 1-21
  • Publisher: Osaka School of International Public Policy
Abstract
We examine the role of financial shocks in business cycles in general and in financial crises in particular in East Asia (Indonesia, Korea, Malaysia and Thailand) since the 1990s. Estimating a Financial Conditions Index, we found that financial shocks explain most of business downturns in all the economies in the Asian Financial Crisis (AFC) in 1997-98, but that the effects of financial shocks are diverse across economies in the Global Financial Crisis (GFC) in 2008-09. In the GFC, the financial shocks played a relatively minor role in Indonesia, Malaysia and Thailand, while it played a similarly dominant role in Korea. Among individual financial channels, risk ...
Subjects
free text keywords: Business cycles, Financial Conditions Index (FCI), Asian Financial Crisis, Global Financial Crisis, East Asia, Business cycles, Financial Conditions Index (FCI), Asian Financial Crisis, Global Financial Crisis, East Asia, jel:E32, jel:E42, jel:E44
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JAIRO
External research report . 2014
Provider: JAIRO

A. Indonesia 1997:4-1998:4 5 -6.19 1.24 -2.75 2001:3-2001:4 2 -0.81 0.40 0.67 2003:3-2003:4 2 -0.05 0.03 1.12 2005:1-2006:2 6 -0.50 0.08 1.34 2008:4-2009:2 3 -0.50 0.17 1.13 B. Korea 1997:3-1998:3 5 -3.61 0.72 -0.74 2000:4-2001:4 5 -1.54 0.31 0.94 2002:3-2005:1 11 -1.00 0.09 1.05 2008:2-2009:1 4 -2.42 0.60 -0.01 C. Malaysia 1998:1-1998:4 4 -4.46 1.11 -1.89 2000:4-2001:4 5 -2.13 0.43 0.43 2002:4-2003:1 2 -0.22 0.11 1.58 2004:3-2004:4 2 -0.69 0.35 1.39 2006:2-2006:3 2 -0.02 0.01 1.46 2008:2-2009:1 4 -3.38 0.84 0.34 D. Thailand 1996:3-1998:3 9 -5.24 0.58 -0.84 2000:2-2001:3 6 -0.89 0.15 0.78 2008:2-2009:1 4 -3.38 0.84 -0.22 This table shows the contraction phases (recession) defined as from peak to trough, which was determined by a method in Harding and Pagan (2002).

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publication . External research report . Preprint . 2014

East Asian Financial Cycles : Asian vs. Global Financial Crises

Akira Kohsaka; Jun-ichi Shinkai;